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| The Response of Informal Lending Interest Rate to Monetary Policy from Time-varying Perspective |
| PAN Bin, WANG Qufei, JIN Wenwen
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Business School, Ningbo University;
Hangzhou Central Sub-branch,the People's Bank of China;
Financial Research Institute, Wenzhou University |
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Abstract Studying on the response of informal lending interest rate to monetary policy from time-varying perspective, this paper tried to provide some suggestions for monetary policy choice under the dual financial structure. Based on the modified IS - IM model, we concluded that the response of informal lending interest rate to monetary policy would be influenced by factors such as the substitutability between the formal and informal financial market. The empirical results showed that, the response of informal lending rate to monetary policy had obvious time-varying characteristics. While price-based monetary policy instrument could influence the movements of informal lending interest rate effectively in the short term, the policy effects had weakened in the long term. While quantity-based monetary policy instrument were temporarily “broken” in the early stage before the international financial crisis in 2008, the policy effect was significantly improved in the post-financial crisis period. The dynamic evolution of the substitutability between the formal and informal financial market could provide a reasonable explanation for these conclusions. We also concluded that, the movements of informal lending interest rate and interest rates of formal financial market were in the same direction, although the relationship was time-varying. Besides, the effect of interest rates of formal financial market on informal lending interest rates was decreasing with the increase of lag period.
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Received: 17 July 2016
Published: 18 January 2018
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